Multidimensional Backward Stochastic Riccati Equations and Applications
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Publication:4442957
DOI10.1137/S0363012900378760zbMath1175.93242OpenAlexW1988310975MaRDI QIDQ4442957
Shanjian Tang, Michael Kohlmann
Publication date: 8 January 2004
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012900378760
algebraic transformationbackward stochastic Riccati equationstochastic linear quadratic control problemFeynman--Kac formula
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Generalizations of martingales (60G48) Optimal stochastic control (93E20)
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